Multiple Choice
Given the following data for the a stock: risk-free rate = 5%; beta (market) = 1.4; beta
(size) = 0.4; beta (book-to-market) = -1.1; market risk premium = 7%; size risk premium =
3) 7%; and book-to-market risk premium = 5.2%. Calculate the expected return on the stock using the Fama-French three-factor model.
A) 22.3%
B) 7.8%
C) 10.6%
D) none of the above
Correct Answer:
Verified
Correct Answer:
Verified
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